Investors increasingly recognize the value of incorporating sustainable investment principles in financial analysis, but integration of these within fixed income has typically lagged behind equity due to complexity and data reliability. Within this, the world of securitized instruments has had even lower focus. Early adopters have the advantage through deeper understanding of the risks and opportunities, but there are nuanced complexities unique to the securitized asset class that must be handled.

In this paper:

  • we present Yield Book’s ESG taxonomy suite for securitized assets, focusing on our methodologies behind the construction of quantitative metrics and scores for our first phase—the measurement of responsible lending and responsible servicing in Agency and non-Agency RMBS markets.
  • we utilize Yield Book’s dataset with a history of over 20 years, best-in-class expertise within the securitized asset class and advanced statistical methods to equip clients with a deeper and quantitative understanding of risks and opportunities within this complex asset class. 
  • present methodologies designed to help the industry as a whole to begin meaningful discussion and incorporation of these concepts through a bottom-up approach, addressing the need for a quantitative methodology using a golden source of data.